1. In a bowl, combine cheese and butter; blend well. Stir in flour, Worcestershire sauce, salt and cayenne pepper.
2. Shape into a long roll, 1-inch (2.5-cm) round. Chill well for at least 3 hours, until firm.
3. Preheat oven to 450°F (230°C).
4. Cut roll into thin slices and arrange on ungreased baking sheets.
5. Bake for 5 minutes, until lightly browned.